A parenthetical statement is one that explains or qualifies something. You can call such a statement a parenthetical, (especially when it's in parentheses).
Have you ever said something like "I'm hungry!" and then added "...but I only want French fries"? That second statement is parenthetical: it clarifies the first statement. Just like words in parentheses (like these words) add clarity to a sentence, parenthetical words in speech help make something clearer or give extra information. You can call these statements (or words that actually are inside parentheses) parentheticals; and while parentheticals aren't the most important ideas, they help support those ideas.